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Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama

Author

Listed:
  • Omer ISKENDEROGLU

    (Nigde Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

Abstract

Sistematik risk olcutu olarak ifade edilen beta (ß) katsayisi, hisse senedinin getirisi ile pazar getirisi arasindaki iliskiyi gosterir. Bu calismanin amaci beta katsayisinin gelecekte ulasacagi degerin tahmin edilmesidir. Bu baglamda Istanbul Menkul Kiymetler Borsasi (IMKB)’nda islem goren 74 hisse senedinin 2003–2011 donemleri arasi gunluk verileri kullanilarak aylik, uc aylik, alti aylik ve yillik donemler itibariyle tarihi beta katsayilari hesaplanmistir. Daha sonra hesaplanan beta katsayilarinin rastsal olup olmadigi Levin, Lin ve Chu (2002) ve Im, Pesaran ve Shin (2003) tarafindan onerilen panel birim kok testleri ile incelenmis ve havuzlanmis regresyon yontemi ve buna bagli limit teoremi kullanilarak betalarin gelecekte alacagi degerler tahmin edilmeye calisilmistir. Calismadan elde edilen sonuclar betalarin rastsal olmadigini ve ortalamaya donme egilimi icerisinde olduklarini gostermektedir. Ayrica aylik surecte tahmin sonuclarindan yillik surecte tahmin sonuclarina dogru ilerledikce betalarin artmakta oldugu tespit edilmistir. Elde edilen bu sonuclar yatirimcilar acisindan degerlendirildiginde ortalamanin altida kalan betalara ait hisse senetlerine yatirim yapilmasi önerilebilir.

Suggested Citation

  • Omer ISKENDEROGLU, 2012. "Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 12(1), pages 69-78.
    • Handle: RePEc:ege:journl:v:12:y:2012:i:1:p:69-78
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    More about this item

    Keywords

    Beta; blume; vasicek; IMKB;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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